【原文推送】克罗谈投资策略（12）

Why Is the Speculator (Almost) Always Long?

Perhaps the longest-running bear show in recent memory was the foreign currency slide (the dollar bull market) that continued from 1978 through 1985. The Swiss franc declined from 69.00 to 35.00, the D-mark from 58.00 to 29.00, and the British pound from 2.40 to around 1.05. Notwithstanding this very long-term bear market, we have witnessed a near continuous round of bottom-picking, with both professional and commission house speculators chasing after the most elusive prize of all - the reversal of the strong dollar. There were probably more traders throughout the world watching and waiting for a bottom in currencies during much of that seven-year period than for any other future traded. The key questions traders had to face and will continue to face in similar situations in the future are these:

记忆所及，最长的空头秀当属1978年——1985年的外汇跌势（美元的多头市场）：瑞士法郎从69.00跌到35.00，德国马克从58.00跌到29.00，英镑从2.40跌到1.05左右。虽然有这么长时间的空头市场，我们却不断见到有人在抄底，专业和经纪行的投机者一直在追逐一个大奖——强势美元趋势反转。这7年时间内，全世界密切注意和等待外汇见底的交易者人数，可能比其它任何种类的期货都要多。交易者必须面对的关键问题，以及将来在类似的情况中必须继续面对的关键问题是下面这些：

1. Were the currency markets forming a significant reversal from down to up at various times during the seven-year bear market?

1. 这7年的空头市场期间内不同的时间中，外汇市场是不是由下而上形成显著的反转？

2. How could the operator have participated in such a reversal while maintaining reasonable loss protection in the event, as actually occurred, the reversal signals were false and the market continued to decline?

2. 交易者要怎么参与这种反转，同时保持合理的止损保护，以免反转信号是错误的，市场最后还是继续下跌？事实上这样的事就曾经发生过。

3. Assuming the trader had reversed to long and had been stopped out, how could he have gotten back short in conformity with the ongoing bear trend?

3. 假如交易者已经转而做多，而且因止损而平仓，那么他要怎样回到空方阵营，继续在空头市场中玩下去？

I have often noted that major, long-standing trends, particularly downtrends, do not reverse very quickly. They generally take an intolerable amount of time and are accompanied by innumerable false signals that cause many operators to be whipsawed in and out to an exasperating degree. However, there is a logical way to shift the odds a bit more in your favor. Avoid trying to pick off tops and bottoms because, at best, it is a subjective and arbitrary way to time trades. Moreover, it hardly ever succeeds. Rather, you must exercise the patience and discipline to wait until your technical indicators or system tell you that the flip has occurred, at which point you should get aboard in the direction of the newly emerged trend. If your indicator reverses you, protect the new position with a reasonable stop. This could also be a reversal stop to return you into the ongoing trend if the reversal turns out to be false and untenable.

我一再指出，长期的大趋势，尤其是下跌趋势，不会很快反转。它们常常会维持一段令人难以忍受的时间，伴随难以计数的假信号，造成很多交易者惨遭洗盘出场。但是，我们还是能够找到合乎逻辑的方式，使得运气稍微对你有利。你一定要避免去抓头部和底部，因为那顶多是种主观和没有根据的进出方式。此外，这种做法很少能够成功。还有，你必须发挥耐心和严守纪律，等候你的技术指标或系统告诉你反转已发生，在这个时候才跳上新出现的趋势。如果你的指标带着你走向另一个方向，也应该用合理的止损保护你建立的新仓位。万一反转是虚假的，无法维持的，反转止损也能把你带回持续进行中的趋势。

In the specific case of the currencies and their seven-year bear market, we discreetly avoided probing for the bottom so long as markets continued to slide within a broad succession of lower highs and lower lows. There was no logical way to form a sufficiently strong prediction of a market reversal on which to place a large bet. Overeager traders had been chopped up for years trying unsuccessfully to do just that. Instead, we approached these markets in the following manner: At each point where it appeared the market might be making a bottom (or a flip from short to long), we identified the respective resistance points. Each currency market would have to close through these in order to justify in our analysis that the trend had flipped. We had a number of close calls and “almosts,” but as you can see from the accompanying long-term chart of the Swiss franc (Figure 9-2), the trend was clearly down. No rally high surpassed any previous rally high until first half of 1985, after the market hit bottom around the 34.00 level. One of the long-term trading systems we follow gave an initial buy signal on March 12, 1985, and a subsequent buy signal on June 13 of the same year. This analysis was further confirmed by our technical advisory, issued after the first rally from 34.00 to 41.00 and the subsequent 50 percent retracement to the 37.00 level. It suggested the purchase of Swiss at 38.05 stop, close only (basis long-term weekly). We would wait to buy on the failure of the reaction and on the resumption of the rally.

以上面外汇长达7年的空头市场来说，只要市场继续在一个宽广，连续的区间内下滑，也就是，这个区间内一个高点比一个高点低，一底比一底低。那我们就要十分小心谨慎，避免去抄底。我们找不到合乎逻辑的方式，提出强而有力的论点，去预测市场的反转点，从而下很大的赌注在那一点上。一些过分急切的交易者，一直想这么做，多年来都徒劳无功。相反，我们要按下面所述的方式去面对市场：在市场可能筑底（或者由空翻多）的每一点，我们会找出相对的个别压力点。每一个外汇市场收盘价都必须站上这些点，才能在我们的分析中合乎趋势已反转的论调。我们有很多千钧一发或“差一点”的时刻，但是你从所附的瑞士法郎长期趋势图（图9-2），可以看出趋势明显向下。1985年上半年市场在34.00左右触底以前，没有一次反弹的高点能够超越上一次反弹的高点。我们所用的一个长期交易系统，在1985年3月12日发出了初步的买入信号，同年6月13日发出了后续的买入信号。当价格从34.00反弹到41.00之后，接下来出现50%的回调跌到37.00，我们的技术顾问确认可以买入了。以38.05的收盘价为买点（基于长期周线图）。我们等着在回调结束和反弹恢复时进场买入。

图9-2　瑞士法郎（最近期）长期月线图

【Here is the quintessential long-term roller-coaster market. The Swiss franc topped out around the 69.00 level in late 1978, remaining within the major bear trend until first-half 1985. This seven-year-long bear market was a near total disaster for the majority of public speculators who were committed to the bull side regardless of market trend. By the time the trend reversed to north in mid-1985, most speculators missed the turn. They were too exhausted, both financially and emotionally, from fighting the markets with their losing long positions over the past several years. A number of public commodity funds, however, scored impressive profits on short currency positions during this period.

这是个典型，过山车的长期市场趋势。1978年底瑞士法郎在69.00左右做头反转，1985年上半年以前，一直处在大空头趋势里面。大部分投机大众不管市场趋势，执意做多，这7年的空头市场几乎是一场浩劫。1985年年中，趋势反转向上，大多数的投机者错过了列车。不管是在感情上，还是在财力上，他们都已经筋疲力尽。过去几年，他们持有亏钱的多头仓，已经无力跟市场战斗。但是在这段期间内，很多公共商品基金因做空外汇，得到了可观的利润。】

Even after taking a position on a projected trend reversal, it is necessary to protect the new position with reasonable stops. So what is reasonable? That is a function of the trader's personal pain level. In my book, it can be set at anywhere from 50 to 100 percent of the margin requirement which, in actual dollar terms, is from $600 to around $1,500. Obviously, how much you are willing to risk is clearly related to how much you logically project to win. So, if you are a very long-term operator with a history of taking thousands from a winning long-term move, you can obviously afford a somewhat higher risk on a given position than a trader who is quicker to jump out.

预估趋势会反转，建立了新仓位之后，有必要用合理的止损来保护新的仓位。那什么才叫做合理？这要看交易者个人可以忍受多大程度的“痛苦”而定。在我的书中，可以设定为保证金的50%到100%，换算成金额，也就是600元到1500元。很明显的，你愿意冒多大的风险，跟你预算获胜的概率多大有关系。所以说，如果你是个非常长线的交易者，一向能从赚钱的长线交易中赚到数千元，那显然你可以比那些时进时出的人承受更大的风险。

We have all seen too many examples of antitrend trading. The same goes for top or bottom picking against major trending markets, where the operator loses - $15,000 or more per contract - all out of proportion to what he could reasonably have expected to win. And, as you can surmise, after taking a bath of that magnitude, he isn’t likely to have much enthusiasm for getting back aboard when the market signals its next turn, even though this is just when he should be back in. But what if, instead of having lost several thousand per contract, he had lost under a thousand? He could then patiently wait for the next opportunity as signaled by his system or other technical method. He would again risk another thousand on the new position. Assuming his system or technical method was viable, he would ultimately score on the position, notwithstanding the few small losses along the way.

我们都看过许许多多逆势交易的例子。同样的，无数人硬要在趋势明显的市场中抓头部和底部，输掉的钱跟他可以合理预期赚到的钱根本不成比例——每份合约亏15000元或更多。而且，你可以想象，一旦亏掉那么多，当市场发出下一个趋势的信号时，这是真实的信号，亏损严重的人也不会有太大的兴趣。但是如果不是每手输掉几千元，而是不到1000元，情况会怎么样？他可以耐心地等待系统或其它技术方法发出的信号。他可以在新的仓位再拿1000元去冒险。假使他的系统或技术方法是可行的，那么迟早他会在自己的仓位上赚大钱，而不必计较以前亏损的小钱。

Remember the old children’s rhyme, “He who fights and runs away lives to fight another day.” I would dedicate to the speculator a revised version: “He who has a bad trade and runs away, lives to trade (and make profits) another day.”

过去有一首老童谣唱道：“在战场上能打还能逃的人，有机会再上战场。”我愿为投机者改成：“交易不当而跑开的人，只要留一口气，改天还能再进场（并赚钱）。”

Have you ever tried to quantify the long-short mix of your portfolio versus the long-short mix of the actual market trends? I have, and the results were quite revealing. In May of 1985, I called several of my colleagues to inquire how they and their clients were positioned in the markets. I also called a number of overseas traders and money managers.

你有没有算过自己的投资组合中，长线和短线的比例，以及市场实际趋势的长短期波动比例？我算过，结果很耐人寻味。1985年5月，我打电话给几位同事，请他们告诉我：他们以及他们的客户在市场上所持仓位的情况。我也打了电话给很多海外交易者和基金经理人。

Surprisingly, each of the individuals I called was willing to give me a frank rundown on his positions. Not surprisingly, nearly all the non-professional traders and far too many of the professionals were overwhelmingly long in the face of a particularly bearish environment where a clear predominance of markets was locked within strong downtrends. At the time, my trend analysis revealed the following breakdown:

很叫人惊讶，每个人都愿意坦白告诉我所建仓位的详情。但是有件事情一点不叫人惊讶，那就是几乎所有的非专业交易者，以及太多的专业交易者，在特殊的空头环境中，大势明显强烈下跌时，都一面倒做多。那时候，我做过的趋势分析显示以下事实：

1. Uptrends: coffee, heating oil, and soybean oil.

1. 上升趋势：咖啡豆、取暖油和黄豆油。

2. Downtrends: copper, D-mark, gold, lumber, soybean meal, sterling, sugar, Swiss franc, T bond, and yen.

2. 下跌趋势：黄铜、德国马克、黄金、原木、黄豆粉、英镑、糖、瑞士法郎、债券和日元。

3. Sideways:  Corn, oats, platinum, S&P, silver, soybeans, T bills, and wheat (new crop).

3.横向盘整：玉米、燕麦、白金、史坦普股指期货、白银、黄豆、国库券和小麦（新品种）。

A brief summary indicates that of the 21 markets under review, only 14 percent were uptrending, 48 percent were downtrending, and 38 percent were sideways - hardly the time for traders to be taking a predominantly bullish market stance. In fact, under these circumstances, a thoughtful market strategy would suggest a portfolio mix of not more than 15 to 25 percent on the long side.

做个简表，就可以发现21个市场中，只有14%上涨趋势，48%下跌趋势，38%横向盘整——在这种情况下，交易者一味做多实在不是时候。事实上，在这种情况下，思虑周密的策略应该是，投资组合中做多的部分不宜超过15 %到25%。

However, this logical market strategy must be accompanied by the patience to allow your with-the-trend positions to fully develop for the full extent of the move. Patient long-term holding of with-the-trend positions is how the leading operators score the megaprofits. But patience is clearly a two-edged sword. Sitting patiently with an antitrend, losing position is a sure-fire ticket to big losses, a truism to which just about every trader can attest.

但是，这个合乎逻辑的市场策略，一定要伴随耐心，让你顺势交易的仓位能够充分成长，完全配合整个趋势的动向。知名交易者之所以能够大赚，原因便在他们能够很有耐心地持有顺势而为的仓位。但是耐心显然是一把双刃剑。很有耐心地持有逆势的亏钱的仓位，等于是买了一张非大亏不可的门票。这个真理，几乎每个交易者都可以证明。

This discussion of market trends reminds me of an incident in Geneva in 1984. During a strategy session with a banker friend, I asked his opinion of a prominent “goldbug” who, for the past several years, had been doggedly predicting an imminent U.S. hyperinflation accompanied by a spectacular increase in the price of gold to $1,000 an ounce.

说到市场趋势，我想到了1984年在日内瓦发生的一件事。那时我跟一个在银行界做事的朋友讨论策略问题，我问他对于某个很有名的“金虫”有什么看法。这位金虫几年来一直固执地预测美国的超级通货膨胀迫在眉睫，黄金价格会大涨到每盎司1000元。

The goldbug’s credentials were more impressive than his market acumen because events and trends in the real market were totally at odds with his extreme pronouncements. My banker friend pondered the question briefly. “See that clock on my mantle,” he said. “It hasn’t worked for years, yet it’s right twice a day.” The lesson was loud and clear: Don’t ever allow yourself to become locked into an opinion or market position at variance with the real trend of the real market. You must believe and adapt to what is actually happening in the major trends of the real market. Ignore these major trends at your financial peril.

这位金虫的身份很显赫，不过他的市场灵敏度却不行，因为实际市场的事件和趋势，完全跟他的说法背道而驰。我的银行家朋友很快思考了这个问题，说：“看看壁炉上的那只表，坏了很多年了，但是每天有两次它的时间是对的。”这个教训十分清楚：绝不要让自己套牢在一个跟实际市场的实际趋势不合的意见或仓位上。你必须相信和适应实际市场中主趋势真正在发生的事情。忽视这些主趋势，无异于拿自己的财物开玩笑。

相关阅读：

【原文推送】克罗谈投资策略（01）

【原文推送】克罗谈投资策略（02）

【原文推送】克罗谈投资策略（03）

【原文推送】克罗谈投资策略（04）

【原文推送】克罗谈投资策略（05）

【原文推送】克罗谈投资策略（06）

【原文推送】克罗谈投资策略（07）

【原文推送】克罗谈投资策略（08）

【原文推送】克罗谈投资策略（09）

【原文推送】克罗谈投资策略（10）

【原文推送】克罗谈投资策略（11）

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